Journal of Jilin University Science Edition ›› 2020, Vol. 58 ›› Issue (5): 1119-1129.

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Pricing of American Options and American Barrier Options with  Jump Stochastic Volatility Model

XUE Guangming, LIN Funing   

  1. School of Information and Statistics, Guangxi University of Finance and Economics, Nanning 530003, China
  • Received:2020-01-08 Online:2020-09-26 Published:2020-11-18

Abstract: We used two-point G-J method and three-point G-J method to discretize Bermuda option based on the jump diffusion stochastic volatility model, gave the pricing of American barrier option and American option, and gave the numerical calculation and the result analysis.

Key words: jump diffusion model, stochastic volatility, Girsanov measure transformation, barrier option, Fourier inverse transform

CLC Number: 

  • O211.9